Related papers: Bayesian Fixed-Budget Best-Arm Identification
We study the problem of identifying the best arm in a multi-armed bandit environment when each arm is a time-homogeneous and ergodic discrete-time Markov process on a common, finite state space. The state evolution on each arm is governed…
We study stochastic linear optimization problem with bandit feedback. The set of arms take values in an $N$-dimensional space and belong to a bounded polyhedron described by finitely many linear inequalities. We provide a lower bound for…
Performance of machine learning algorithms depends critically on identifying a good set of hyperparameters. While recent approaches use Bayesian optimization to adaptively select configurations, we focus on speeding up random search through…
In this paper, we consider several finite-horizon Bayesian multi-armed bandit problems with side constraints which are computationally intractable (NP-Hard) and for which no optimal (or near optimal) algorithms are known to exist with…
We introduce the model selection problem in pure exploration linear bandits, where the learner needs to adapt to the instance-dependent complexity measure of the smallest hypothesis class containing the true model. We design algorithms in…
We study a generalization of the multi-armed bandit problem with multiple plays where there is a cost associated with pulling each arm and the agent has a budget at each time that dictates how much she can expect to spend. We derive an…
We study a novel multi-armed bandit problem that models the challenge faced by a company wishing to explore new strategies to maximize revenue whilst simultaneously maintaining their revenue above a fixed baseline, uniformly over time.…
We present an efficient and generalised procedure to accurately identify the best (or near best) performing algorithm for each sub-task in a multi-problem domain. Our approach treats this as a set of best arm identification problems for…
We consider the best arm identification problem, where the goal is to identify the arm with the highest mean reward from a set of $K$ arms under a limited sampling budget. This problem models many practical scenarios such as A/B testing. We…
Approximate Bayesian computation is an established and popular method for likelihood-free inference with applications in many disciplines. The effectiveness of the method depends critically on the availability of well performing summary…
We consider the problem of identifying any $k$ out of the best $m$ arms in an $n$-armed stochastic multi-armed bandit. Framed in the PAC setting, this particular problem generalises both the problem of `best subset selection' and that of…
We consider the combinatorial bandits problem with semi-bandit feedback under finite sampling budget constraints, in which the learner can carry out its action only for a limited number of times specified by an overall budget. The action is…
We consider bandit problems involving a large (possibly infinite) collection of arms, in which the expected reward of each arm is a linear function of an $r$-dimensional random vector $\mathbf{Z} \in \mathbb{R}^r$, where $r \geq 2$. The…
We study the problem of the identification of m arms with largest means under a fixed error rate $\delta$ (fixed-confidence Top-m identification), for misspecified linear bandit models. This problem is motivated by practical applications,…
This work formulates model selection as an infinite-armed bandit problem, namely, a problem in which a decision maker iteratively selects one of an infinite number of fixed choices (i.e., arms) when the properties of each choice are only…
In the classical best arm identification (Best-$1$-Arm) problem, we are given $n$ stochastic bandit arms, each associated with a reward distribution with an unknown mean. We would like to identify the arm with the largest mean with…
Learning paradigms based purely on offline data as well as those based solely on sequential online learning have been well-studied in the literature. In this paper, we consider combining offline data with online learning, an area less…
We formulate, analyze and solve the problem of best arm identification with fairness constraints on subpopulations (BAICS). Standard best arm identification problems aim at selecting an arm that has the largest expected reward where the…
Combinatorial bandits extend the classical bandit framework to settings where the learner selects multiple arms in each round, motivated by applications such as online recommendation and assortment optimization. While extensions of upper…
In the infinite-armed bandit problem, each arm's average reward is sampled from an unknown distribution, and each arm can be sampled further to obtain noisy estimates of the average reward of that arm. Prior work focuses on identifying the…